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西红柿面 · 2025年03月01日

请问我这样回答可以吗?

NO.PZ2023010409000025

问题如下:

Meura Bancorp, a US bank, has an equity capital ratio for financial assets of 12%. Meura’s strategic plans include the incorporation of additional debt in order to leverage earnings since the current capital structure is relatively conservative. The bank plans to restructure the balance sheet so that the equity capitalization ratio drops to 10% and the modified duration of liabilities is 1.90. The bank also plans to rebalance its investment portfolio to achieve a modified duration of assets of 2.10. Given small changes in interest rates, the yield on liabilities is expected to move by 65 bps for every 100 bps of yield change in the asset portfolio.

Calculate the modified duration of the bank’s equity capital after restructuring. Show your calculations.

选项:

解释:

The modified duration of the bank’s equity capital after restructuring is 9.89 years:


Modified duration of the bank’s equity capital after restructuring is 9.89.

Modified duration= 10x2.1-9x1.9x0.65=9.89

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